Market Risk Analysis is the most comprehensive, rigorous and detailed resource available
on market risk analysis. Written as a series of four interlinked volumes each title is self …

The presence of investor sentiment pushes asset prices away from the equilibrium level
justified by underlying fundamentals. While sentiment is not directly observable, identifying …

This study examines the predictability of stock market implied volatility on stock volatility in
five developed economies (the US, Japan, Germany, France, and the UK) using monthly …

According to rational expectation models, uninformed or liquidity trading make market price
volatility rise. This paper sets out to analyse the impact of herding, which may be interpreted …

We investigate the information content of implied volatility forecasts for stock index return
volatility. Using different autoregressive models, we examine whether implied volatility …

This study tests and documents the information content of all publicly available implied
volatility indices regarding both the realized volatility and the returns of the underlying asset …

We address the question whether the evolution of implied volatility can be forecasted by
studying a number of European and US implied volatility indices. Both point and interval …

Purpose The study examines the cross-sectional and asymmetric relationship of investor
sentiment with the stock returns and volatility in India. Design/methodology/approach The …

We assess the Value-at-Risk (VaR) forecasting performance of recently proposed realized
volatility (RV) models combined with alternative parametric and semi-parametric quantile …

This study investigates the incremental information content of implied volatility index relative
to the GARCH family models in forecasting volatility of the three Asia-Pacific stock markets …